Correlation Analysis Between Exmo Bitcoin and Bitstamp Bitcoin

This module allows you to analyze existing cross correlation between Exmo Bitcoin USD and Bitstamp Bitcoin USD. You can compare the effects of market volatilities on Exmo Bitcoin and Bitstamp Bitcoin and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Exmo Bitcoin with a short position of Bitstamp Bitcoin. See also your portfolio center. Please also check ongoing floating volatility patterns of Exmo Bitcoin and Bitstamp Bitcoin.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

Exmo Bitcoin USD  
0

Risk-Adjusted Performance

Over the last 30 days Exmo Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Bitstamp Bitcoin USD  
0

Risk-Adjusted Performance

Over the last 30 days Bitstamp Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.

Exmo Bitcoin and Bitstamp Bitcoin Volatility Contrast

 Predicted Return Density 
      Returns 

Exmo Bitcoin USD  vs.  Bitstamp Bitcoin USD

Exmo

Bitcoin on Exmo in USD

 3,640 
304.33  9.12%
Market Cap: 7.1 B
  

Bitstamp

Bitcoin on Bitstamp in USD

 3,559 
66.08  1.89%
Market Cap: 121.4 B
 81.56 
2.24% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Exmo Bitcoin USD is expected to under-perform the Bitstamp Bitcoin. In addition to that, Exmo Bitcoin is 1.21 times more volatile than Bitstamp Bitcoin USD. It trades about -0.28 of its total potential returns per unit of risk. Bitstamp Bitcoin USD is currently generating about -0.34 per unit of volatility. If you would invest  638,500  in Bitstamp Bitcoin USD on November 18, 2018 and sell it today you would lose (289,231)  from holding Bitstamp Bitcoin USD or give up 45.3% of portfolio value over 30 days.

Pair Corralation between Exmo Bitcoin and Bitstamp Bitcoin

0.98
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Exmo Bitcoin and Bitstamp Bitcoin

Exmo Bitcoin USD diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Exmo Bitcoin USD and Bitstamp Bitcoin USD in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bitstamp Bitcoin USD and Exmo Bitcoin is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Exmo Bitcoin USD are associated (or correlated) with Bitstamp Bitcoin. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bitstamp Bitcoin USD has no effect on the direction of Exmo Bitcoin i.e. Exmo Bitcoin and Bitstamp Bitcoin go up and down completely randomly.

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